I have been working on some adjustments of the model where we improve returns considerably with a bit more volatility. The adjustments are due to changing the weighting schemes applied to each ETF strategy to be less dynamic ie the weights are not adjusted daily the idea here is to avoid sharp migrations in the weights on a daily basis. This well also reduce transaction costs. Enclosed find the summary results note that the annual Sharpe Ratio on average is 2.87 which is favorable for a strategy using daily prices.
